Macroeconomic Models: Core Knowledge Learning Guide for Construction and Analysis
This guide systematically outlines the construction logic and application methods of the two core models in macroeconomic analysis (DSGE models and VAR models). It begins with the fundamental principles of the models, thoroughly decomposes the construction steps, solution methods, and estimation techniques, in-depth analyzes their practical value in policy analysis, and comparatively discusses the selection logic of different models. This helps learners master the core capabilities of constructing macroeconomic models and conducting empirical analysis.
Construction and Analysis of DSGE Models
Dynamic Stochastic General Equilibrium (DSGE) Model Basic Principles
Steps to Construct a DSGE Model (Defining Economic Agents, Market Structures, Policy Rules, etc.)
- DSGE Model: Logical Framework of Economic Agents' Definition (Families, Enterprises, Governments)
- DSGE Model's Market Structure Specification (Perfect Competition/Monopoly, Market Clearing)
- DSGE Model's Policy Rules Embedding Method
- Constructing Constraint Conditions and Equilibrium Conditions of the DSGE Model
Solving methods for DSGE models (linearization, numerical solving, etc.)
Parameter Estimation and Calibration of DSGE Models
DSGE Model Application in Macroeconomic Policy Analysis: The Dynamic Effect of Policy Shocks
Construction and Analysis of Vector Autoregression (VAR) Models
Basic Principles and Modeling Steps of Vector Autoregression (VAR) Models
Identification Methods for VAR Models (Cholesky Decomposition, Structural VAR, etc.)
VAR model prediction and policy analysis (impulse response function, variance decomposition, etc.)
- The Principle of Prediction and Implementation Steps for VAR Models
- The essence and policy implications of the impulse response function
- Principle of Variance Decomposition and Variable Contribution Analysis
- Application of the Vector Autoregression Model in Macroeconomic Prediction and Policy Evaluation